Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

The Momentum of Now
(75800796)

Created by: Danny Danny
Started: 08/2012
Stocks
Last trade: 4 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

23.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(24.2%)
Max Drawdown
2066
Num Trades
35.4%
Win Trades
1.4 : 1
Profit Factor
55.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +3.8%+7.5%+0.9%+1.6%(0.5%)+14.0%
2013+13.8%+0.7%+9.1%(1.6%)+0.1%(5.5%)(2.7%)(2.3%)+22.0%+8.2%+21.0%(0.5%)+75.6%
2014+10.3%(2.2%)(2.2%)(3%)+1.4%(1.2%)(8.5%)+4.2%(0.7%)+2.8%+3.2%+2.5%+5.4%
2015(1.3%)+7.0%+4.6%(5.4%)+20.4%+2.7%+17.4%(4.1%)+3.6%(1.8%)+2.6%+1.8%+54.4%
2016(0.2%)(4.8%)(5.3%)+3.8%(3.9%)+3.4%(0.5%)+0.7%+1.8%+0.5%+9.3%(2.5%)+1.2%
2017(2%)+8.6%+1.0%+5.4%+10.4%(7.3%)+6.9%+6.6%+2.7%+2.6%(3.1%)(1.3%)+33.2%
2018+9.0%(1.4%)+1.2%(2.6%)+15.6%(2.2%)(5.6%)+7.9%(5%)(7.4%)(0.4%)+0.5%+7.4%
2019  -  +4.2%(4%)+3.2%  -  +2.2%+1.4%(2.7%)(2.9%)(0.7%)+0.3%+7.1%+7.7%
2020+2.5%(4.4%)+5.8%(2.4%)(3%)+4.1%+3.9%+6.8%(8.3%)(2.3%)  -  +16.6%+18.2%
2021+1.5%                                                                  +1.5%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 3,400 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/13/21 9:30 CLCT COLLECTORS UNIVERSE LONG 588 75.99 1/15 14:04 77.67 0.02%
Trade id #133347610
Max drawdown($141)
Time1/14/21 0:00
Quant open588
Worst price75.75
Drawdown as % of equity-0.02%
$983
Includes Typical Broker Commissions trade costs of $5.00
12/23/20 9:30 WIW WESTERN ASSET INFLATION-LNKED OPPS & INC FUND LONG 12,396 12.17 1/12/21 9:30 12.07 0.24%
Trade id #132982510
Max drawdown($1,457)
Time1/12/21 9:30
Quant open12,396
Worst price12.05
Drawdown as % of equity-0.24%
($1,177)
Includes Typical Broker Commissions trade costs of $7.50
12/18/20 9:30 GHY PGIM GLOBAL HIGH YIELD FUND INC LONG 4,813 14.47 1/12/21 9:30 14.29 0.16%
Trade id #132906241
Max drawdown($992)
Time1/12/21 9:30
Quant open4,813
Worst price14.26
Drawdown as % of equity-0.16%
($835)
Includes Typical Broker Commissions trade costs of $5.00
1/6/21 9:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 2,010 17.42 1/12 9:30 19.59 0.75%
Trade id #133206594
Max drawdown($4,643)
Time1/11/21 0:00
Quant open2,010
Worst price19.73
Drawdown as % of equity-0.75%
($4,370)
Includes Typical Broker Commissions trade costs of $7.50
11/16/20 9:30 PFF ISHARES S&P U.S. PREFERRED STO LONG 2,183 37.46 1/11/21 14:31 37.77 0.04%
Trade id #132273768
Max drawdown($194)
Time11/16/20 9:34
Quant open2,183
Worst price37.37
Drawdown as % of equity-0.04%
$683
Includes Typical Broker Commissions trade costs of $5.00
11/25/20 9:30 WK WORKIVA INC LONG 911 74.15 1/11/21 10:21 94.24 0.3%
Trade id #132451622
Max drawdown($1,535)
Time12/2/20 0:00
Quant open911
Worst price72.46
Drawdown as % of equity-0.30%
$18,301
Includes Typical Broker Commissions trade costs of $5.00
12/29/20 9:30 PFN PIMCO INCOME STRATEGY FUND II LONG 5,902 9.88 1/11/21 10:21 10.09 0.06%
Trade id #133066277
Max drawdown($339)
Time12/29/20 9:42
Quant open5,902
Worst price9.82
Drawdown as % of equity-0.06%
$1,249
Includes Typical Broker Commissions trade costs of $5.00
11/24/20 9:30 DLB DOLBY LABORATORIES LONG 575 88.65 1/11/21 10:21 96.06 0.09%
Trade id #132423379
Max drawdown($465)
Time11/24/20 9:36
Quant open575
Worst price87.84
Drawdown as % of equity-0.09%
$4,256
Includes Typical Broker Commissions trade costs of $5.00
12/21/20 9:30 CLCT COLLECTORS UNIVERSE LONG 588 75.25 1/11/21 10:21 75.70 0.01%
Trade id #132936894
Max drawdown($88)
Time1/6/21 0:00
Quant open588
Worst price75.10
Drawdown as % of equity-0.01%
$260
Includes Typical Broker Commissions trade costs of $5.00
11/16/20 9:30 VT VANGUARD TOTAL WORLD STOCK IND LONG 437 88.03 1/11/21 10:21 94.66 0.09%
Trade id #132273781
Max drawdown($482)
Time11/19/20 0:00
Quant open437
Worst price86.93
Drawdown as % of equity-0.09%
$2,888
Includes Typical Broker Commissions trade costs of $8.74
1/8/21 9:30 SPOT SPOTIFY TECHNOLOGY SA LONG 94 335.00 1/11 10:21 345.28 0.03%
Trade id #133270480
Max drawdown($160)
Time1/8/21 9:33
Quant open94
Worst price333.29
Drawdown as % of equity-0.03%
$964
Includes Typical Broker Commissions trade costs of $1.88
12/16/20 9:30 SCCO SOUTHERN COPPER LONG 400 61.01 1/11/21 10:21 70.79 0.02%
Trade id #132847949
Max drawdown($124)
Time12/16/20 9:55
Quant open400
Worst price60.70
Drawdown as % of equity-0.02%
$3,904
Includes Typical Broker Commissions trade costs of $8.00
12/31/20 9:30 MU MICRON TECHNOLOGY LONG 304 72.39 1/11/21 10:21 78.14 n/a $1,741
Includes Typical Broker Commissions trade costs of $6.08
1/6/21 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X SHORT 220 22.09 1/11 10:21 20.78 0.02%
Trade id #133206640
Max drawdown($110)
Time1/6/21 9:44
Quant open220
Worst price22.59
Drawdown as % of equity-0.02%
$284
Includes Typical Broker Commissions trade costs of $4.40
1/7/21 9:30 LAD LITHIA MOTORS LONG 46 313.00 1/11 10:21 313.25 0.03%
Trade id #133240886
Max drawdown($88)
Time1/11/21 9:49
Quant open46
Worst price311.07
Drawdown as % of equity-0.03%
$11
Includes Typical Broker Commissions trade costs of $0.92
11/20/20 9:30 TSLA TESLA INC. LONG 108 558.41 1/11/21 10:21 810.73 0.05%
Trade id #132368247
Max drawdown($238)
Time11/20/20 15:59
Quant open27
Worst price489.06
Drawdown as % of equity-0.05%
$27,248
Includes Typical Broker Commissions trade costs of $2.16
1/6/21 9:30 GLSI GREENWICH LIFESCIENCES INC. COMMON STOCK LONG 131 35.00 1/11 10:21 36.00 0.03%
Trade id #133206629
Max drawdown($157)
Time1/6/21 15:44
Quant open131
Worst price33.80
Drawdown as % of equity-0.03%
$128
Includes Typical Broker Commissions trade costs of $2.62
12/8/20 9:30 SAIL SAILPOINT TECHNOLOGIES HOLDINGS INC LONG 309 48.04 1/11/21 10:21 58.05 0.18%
Trade id #132693519
Max drawdown($970)
Time12/10/20 0:00
Quant open309
Worst price44.90
Drawdown as % of equity-0.18%
$3,087
Includes Typical Broker Commissions trade costs of $6.18
1/11/21 9:30 WYY WIDEPOINT LONG 1,759 9.99 1/11 10:21 10.82 n/a $1,455
Includes Typical Broker Commissions trade costs of $5.00
12/17/20 9:30 NCV ALLIANZGI CONVERTIBLE & INCOME LONG 7,231 5.63 1/11/21 10:20 5.83 0.08%
Trade id #132883553
Max drawdown($476)
Time12/21/20 0:00
Quant open7,231
Worst price5.56
Drawdown as % of equity-0.08%
$1,441
Includes Typical Broker Commissions trade costs of $5.00
1/11/21 9:30 EWC ISHARES MSCI CANADA INDEX LONG 1,534 31.68 1/11 10:20 31.79 0.01%
Trade id #133302032
Max drawdown($30)
Time1/11/21 9:38
Quant open1,534
Worst price31.66
Drawdown as % of equity-0.01%
$164
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 9:30 ZSL PROSHARES ULTRASHORT SILVER SHORT 1,618 6.29 1/11 9:30 7.65 0.38%
Trade id #133153309
Max drawdown($2,362)
Time1/8/21 0:00
Quant open1,618
Worst price7.75
Drawdown as % of equity-0.38%
($2,205)
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 9:30 BOND PIMCO TOTAL RETURN ACTIVE ETF LONG 746 112.91 1/8 9:30 112.11 0.1%
Trade id #133153294
Max drawdown($596)
Time1/8/21 9:30
Quant open746
Worst price112.11
Drawdown as % of equity-0.10%
($602)
Includes Typical Broker Commissions trade costs of $5.00
12/7/20 9:30 ZS ZSCALER INC. COMMON STOCK LONG 283 181.46 1/7/21 9:30 185.50 0.19%
Trade id #132670373
Max drawdown($1,038)
Time12/10/20 0:00
Quant open131
Worst price172.07
Drawdown as % of equity-0.19%
$1,137
Includes Typical Broker Commissions trade costs of $5.66
12/1/20 9:30 PYPL PAYPAL HOLDINGS CORP LONG 164 217.35 1/7/21 9:30 229.46 0.32%
Trade id #132565980
Max drawdown($1,754)
Time12/10/20 0:00
Quant open164
Worst price206.65
Drawdown as % of equity-0.32%
$1,983
Includes Typical Broker Commissions trade costs of $3.28
1/6/21 9:30 EMAN EMAGIN LONG 9,182 1.71 1/6 11:09 1.84 0.02%
Trade id #133206615
Max drawdown($108)
Time1/6/21 9:34
Quant open9,182
Worst price1.70
Drawdown as % of equity-0.02%
$1,161
Includes Typical Broker Commissions trade costs of $5.00
12/4/20 9:30 ETY EV TAX-MANAGED DIV EQUITY INC LONG 3,795 12.05 1/6/21 9:30 11.95 0.09%
Trade id #132640692
Max drawdown($531)
Time1/6/21 9:30
Quant open3,795
Worst price11.91
Drawdown as % of equity-0.09%
($385)
Includes Typical Broker Commissions trade costs of $5.00
12/31/20 9:30 THC TENET HEALTHCARE LONG 705 39.90 1/5/21 13:10 41.75 0.22%
Trade id #133108288
Max drawdown($1,321)
Time1/4/21 0:00
Quant open705
Worst price38.03
Drawdown as % of equity-0.22%
$1,296
Includes Typical Broker Commissions trade costs of $5.00
12/31/20 9:30 X UNITED STATES STEEL LONG 1,229 16.75 1/5/21 10:24 17.83 0.05%
Trade id #133108294
Max drawdown($294)
Time12/31/20 9:52
Quant open1,229
Worst price16.51
Drawdown as % of equity-0.05%
$1,322
Includes Typical Broker Commissions trade costs of $5.00
11/27/20 9:30 ETSY ETSY INC. COMMON STOCK LONG 155 148.72 1/5/21 9:30 170.19 n/a $3,325
Includes Typical Broker Commissions trade costs of $3.10

Statistics

  • Strategy began
    8/4/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    3089.78
  • Age
    103 months ago
  • What it trades
    Stocks
  • # Trades
    2066
  • # Profitable
    732
  • % Profitable
    35.40%
  • Avg trade duration
    24.1 days
  • Max peak-to-valley drawdown
    24.22%
  • drawdown period
    Jan 21, 2014 - Aug 04, 2014
  • Annual Return (Compounded)
    23.8%
  • Avg win
    $2,604
  • Avg loss
    $1,064
  • Model Account Values (Raw)
  • Cash
    $542,989
  • Margin Used
    $200,451
  • Buying Power
    $364,512
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    0.96
  • Sortino Ratio
    1.38
  • Calmar Ratio
    1.259
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    338.73%
  • Correlation to SP500
    0.13150
  • Return Percent SP500 (cumu) during strategy life
    170.90%
  • Return Statistics
  • Ann Return (w trading costs)
    23.8%
  • Slump
  • Current Slump as Pcnt Equity
    2.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.238%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    27.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    5.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    935
  • Popularity (Last 6 weeks)
    968
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    911
  • Popularity (7 days, Percentile 1000 scale)
    949
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,065
  • Avg Win
    $2,596
  • Sum Trade PL (losers)
    $1,418,820.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    102
  • Win / Loss
  • Sum Trade PL (winners)
    $1,905,500.000
  • # Winners
    734
  • Num Months Winners
    58
  • Dividends
  • Dividends Received in Model Acct
    63158
  • AUM
  • AUM (AutoTrader live capital)
    611970
  • Win / Loss
  • # Losers
    1332
  • % Winners
    35.5%
  • Frequency
  • Avg Position Time (mins)
    13806.80
  • Avg Position Time (hrs)
    230.11
  • Avg Trade Length
    9.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.63
  • Daily leverage (max)
    3.69
  • Regression
  • Alpha
    0.05
  • Beta
    0.14
  • Treynor Index
    0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.65
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.68
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.940
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.184
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.162
  • Hold-and-Hope Ratio
    0.165
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24778
  • SD
    0.22990
  • Sharpe ratio (Glass type estimate)
    1.07778
  • Sharpe ratio (Hedges UMVUE)
    1.06959
  • df
    99.00000
  • t
    3.11128
  • p
    0.00122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37988
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77050
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76470
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.46653
  • Upside Potential Ratio
    4.21821
  • Upside part of mean
    0.42375
  • Downside part of mean
    -0.17597
  • Upside SD
    0.21760
  • Downside SD
    0.10046
  • N nonnegative terms
    58.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.13074
  • Mean of criterion
    0.24778
  • SD of predictor
    0.15483
  • SD of criterion
    0.22990
  • Covariance
    0.00324
  • r
    0.09105
  • b (slope, estimate of beta)
    0.13520
  • a (intercept, estimate of alpha)
    0.23011
  • Mean Square Error
    0.05295
  • DF error
    98.00000
  • t(b)
    0.90516
  • p(b)
    0.18380
  • t(a)
    2.80378
  • p(a)
    0.00304
  • Lowerbound of 95% confidence interval for beta
    -0.16122
  • Upperbound of 95% confidence interval for beta
    0.43163
  • Lowerbound of 95% confidence interval for alpha
    0.06724
  • Upperbound of 95% confidence interval for alpha
    0.39297
  • Treynor index (mean / b)
    1.83264
  • Jensen alpha (a)
    0.23011
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22109
  • SD
    0.21907
  • Sharpe ratio (Glass type estimate)
    1.00918
  • Sharpe ratio (Hedges UMVUE)
    1.00151
  • df
    99.00000
  • t
    2.91325
  • p
    0.00221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69465
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11497
  • Upside Potential Ratio
    3.84925
  • Upside part of mean
    0.40237
  • Downside part of mean
    -0.18129
  • Upside SD
    0.20164
  • Downside SD
    0.10453
  • N nonnegative terms
    58.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.11799
  • Mean of criterion
    0.22109
  • SD of predictor
    0.15756
  • SD of criterion
    0.21907
  • Covariance
    0.00330
  • r
    0.09571
  • b (slope, estimate of beta)
    0.13307
  • a (intercept, estimate of alpha)
    0.20538
  • Mean Square Error
    0.04804
  • DF error
    98.00000
  • t(b)
    0.95182
  • p(b)
    0.17177
  • t(a)
    2.64340
  • p(a)
    0.00478
  • Lowerbound of 95% confidence interval for beta
    -0.14437
  • Upperbound of 95% confidence interval for beta
    0.41052
  • Lowerbound of 95% confidence interval for alpha
    0.05120
  • Upperbound of 95% confidence interval for alpha
    0.35957
  • Treynor index (mean / b)
    1.66139
  • Jensen alpha (a)
    0.20538
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08204
  • Expected Shortfall on VaR
    0.10573
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03034
  • Expected Shortfall on VaR
    0.05982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    100.00000
  • Minimum
    0.89129
  • Quartile 1
    0.97791
  • Median
    1.01804
  • Quartile 3
    1.04761
  • Maximum
    1.27878
  • Mean of quarter 1
    0.95032
  • Mean of quarter 2
    0.99395
  • Mean of quarter 3
    1.03394
  • Mean of quarter 4
    1.10438
  • Inter Quartile Range
    0.06970
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.20712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26508
  • VaR(95%) (moments method)
    0.05227
  • Expected Shortfall (moments method)
    0.08399
  • Extreme Value Index (regression method)
    0.00531
  • VaR(95%) (regression method)
    0.04980
  • Expected Shortfall (regression method)
    0.06712
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00377
  • Quartile 1
    0.02347
  • Median
    0.05293
  • Quartile 3
    0.12737
  • Maximum
    0.16901
  • Mean of quarter 1
    0.01292
  • Mean of quarter 2
    0.03641
  • Mean of quarter 3
    0.08995
  • Mean of quarter 4
    0.14469
  • Inter Quartile Range
    0.10391
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14467
  • VaR(95%) (moments method)
    0.15513
  • Expected Shortfall (moments method)
    0.16771
  • Extreme Value Index (regression method)
    0.89252
  • VaR(95%) (regression method)
    0.16207
  • Expected Shortfall (regression method)
    0.48593
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63738
  • Compounded annual return (geometric extrapolation)
    0.24743
  • Calmar ratio (compounded annual return / max draw down)
    1.46400
  • Compounded annual return / average of 25% largest draw downs
    1.71006
  • Compounded annual return / Expected Shortfall lognormal
    2.34011
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23782
  • SD
    0.17310
  • Sharpe ratio (Glass type estimate)
    1.37389
  • Sharpe ratio (Hedges UMVUE)
    1.37342
  • df
    2192.00000
  • t
    3.97486
  • p
    0.00004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05210
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00598
  • Upside Potential Ratio
    9.15060
  • Upside part of mean
    1.08484
  • Downside part of mean
    -0.84703
  • Upside SD
    0.12692
  • Downside SD
    0.11855
  • N nonnegative terms
    1248.00000
  • N negative terms
    945.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2193.00000
  • Mean of predictor
    0.13323
  • Mean of criterion
    0.23782
  • SD of predictor
    0.16935
  • SD of criterion
    0.17310
  • Covariance
    0.00380
  • r
    0.12976
  • b (slope, estimate of beta)
    0.13263
  • a (intercept, estimate of alpha)
    0.22000
  • Mean Square Error
    0.02947
  • DF error
    2191.00000
  • t(b)
    6.12585
  • p(b)
    0.00000
  • t(a)
    3.70567
  • p(a)
    0.00011
  • Lowerbound of 95% confidence interval for beta
    0.09017
  • Upperbound of 95% confidence interval for beta
    0.17509
  • Lowerbound of 95% confidence interval for alpha
    0.10365
  • Upperbound of 95% confidence interval for alpha
    0.33665
  • Treynor index (mean / b)
    1.79304
  • Jensen alpha (a)
    0.22015
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22273
  • SD
    0.17326
  • Sharpe ratio (Glass type estimate)
    1.28549
  • Sharpe ratio (Hedges UMVUE)
    1.28505
  • df
    2192.00000
  • t
    3.71908
  • p
    0.00010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96357
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85413
  • Upside Potential Ratio
    8.96489
  • Upside part of mean
    1.07690
  • Downside part of mean
    -0.85418
  • Upside SD
    0.12556
  • Downside SD
    0.12012
  • N nonnegative terms
    1248.00000
  • N negative terms
    945.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2193.00000
  • Mean of predictor
    0.11879
  • Mean of criterion
    0.22273
  • SD of predictor
    0.17009
  • SD of criterion
    0.17326
  • Covariance
    0.00383
  • r
    0.12989
  • b (slope, estimate of beta)
    0.13232
  • a (intercept, estimate of alpha)
    0.20701
  • Mean Square Error
    0.02953
  • DF error
    2191.00000
  • t(b)
    6.13190
  • p(b)
    0.00000
  • t(a)
    3.48213
  • p(a)
    0.00025
  • Lowerbound of 95% confidence interval for beta
    0.09000
  • Upperbound of 95% confidence interval for beta
    0.17463
  • Lowerbound of 95% confidence interval for alpha
    0.09043
  • Upperbound of 95% confidence interval for alpha
    0.32359
  • Treynor index (mean / b)
    1.68329
  • Jensen alpha (a)
    0.20701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01662
  • Expected Shortfall on VaR
    0.02100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00669
  • Expected Shortfall on VaR
    0.01400
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2193.00000
  • Minimum
    0.93891
  • Quartile 1
    0.99635
  • Median
    1.00095
  • Quartile 3
    1.00578
  • Maximum
    1.05556
  • Mean of quarter 1
    0.98830
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00303
  • Mean of quarter 4
    1.01341
  • Inter Quartile Range
    0.00943
  • Number outliers low
    99.00000
  • Percentage of outliers low
    0.04514
  • Mean of outliers low
    0.97355
  • Number of outliers high
    93.00000
  • Percentage of outliers high
    0.04241
  • Mean of outliers high
    1.02666
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30638
  • VaR(95%) (moments method)
    0.01089
  • Expected Shortfall (moments method)
    0.01912
  • Extreme Value Index (regression method)
    0.13063
  • VaR(95%) (regression method)
    0.01081
  • Expected Shortfall (regression method)
    0.01648
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00371
  • Median
    0.01467
  • Quartile 3
    0.03891
  • Maximum
    0.19820
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.00888
  • Mean of quarter 3
    0.02539
  • Mean of quarter 4
    0.10798
  • Inter Quartile Range
    0.03520
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    0.15474
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.29381
  • VaR(95%) (moments method)
    0.09804
  • Expected Shortfall (moments method)
    0.10294
  • Extreme Value Index (regression method)
    -0.56456
  • VaR(95%) (regression method)
    0.09401
  • Expected Shortfall (regression method)
    0.10709
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65126
  • Compounded annual return (geometric extrapolation)
    0.24948
  • Calmar ratio (compounded annual return / max draw down)
    1.25872
  • Compounded annual return / average of 25% largest draw downs
    2.31047
  • Compounded annual return / Expected Shortfall lognormal
    11.88100
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30305
  • SD
    0.21821
  • Sharpe ratio (Glass type estimate)
    1.38880
  • Sharpe ratio (Hedges UMVUE)
    1.38078
  • df
    130.00000
  • t
    0.98203
  • p
    0.45709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15766
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96473
  • Upside Potential Ratio
    9.19962
  • Upside part of mean
    1.41900
  • Downside part of mean
    -1.11595
  • Upside SD
    0.15431
  • Downside SD
    0.15424
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32420
  • Mean of criterion
    0.30305
  • SD of predictor
    0.16535
  • SD of criterion
    0.21821
  • Covariance
    0.01011
  • r
    0.28029
  • b (slope, estimate of beta)
    0.36990
  • a (intercept, estimate of alpha)
    0.18313
  • Mean Square Error
    0.04421
  • DF error
    129.00000
  • t(b)
    3.31646
  • p(b)
    0.32393
  • t(a)
    0.61133
  • p(a)
    0.46580
  • Lowerbound of 95% confidence interval for beta
    0.14922
  • Upperbound of 95% confidence interval for beta
    0.59057
  • Lowerbound of 95% confidence interval for alpha
    -0.40956
  • Upperbound of 95% confidence interval for alpha
    0.77582
  • Treynor index (mean / b)
    0.81928
  • Jensen alpha (a)
    0.18313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27917
  • SD
    0.21890
  • Sharpe ratio (Glass type estimate)
    1.27535
  • Sharpe ratio (Hedges UMVUE)
    1.26798
  • df
    130.00000
  • t
    0.90181
  • p
    0.46058
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50321
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04406
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78171
  • Upside Potential Ratio
    8.98138
  • Upside part of mean
    1.40726
  • Downside part of mean
    -1.12809
  • Upside SD
    0.15263
  • Downside SD
    0.15669
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31039
  • Mean of criterion
    0.27917
  • SD of predictor
    0.16586
  • SD of criterion
    0.21890
  • Covariance
    0.01020
  • r
    0.28101
  • b (slope, estimate of beta)
    0.37089
  • a (intercept, estimate of alpha)
    0.16405
  • Mean Square Error
    0.04447
  • DF error
    129.00000
  • t(b)
    3.32572
  • p(b)
    0.32348
  • t(a)
    0.54639
  • p(a)
    0.46942
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.15024
  • Upperbound of 95% confidence interval for beta
    0.59153
  • Lowerbound of 95% confidence interval for alpha
    -0.42999
  • Upperbound of 95% confidence interval for alpha
    0.75809
  • Treynor index (mean / b)
    0.75271
  • Jensen alpha (a)
    0.16405
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02096
  • Expected Shortfall on VaR
    0.02646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00867
  • Expected Shortfall on VaR
    0.01813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94990
  • Quartile 1
    0.99535
  • Median
    1.00172
  • Quartile 3
    1.00831
  • Maximum
    1.03678
  • Mean of quarter 1
    0.98476
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00442
  • Mean of quarter 4
    1.01695
  • Inter Quartile Range
    0.01297
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96515
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03372
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32476
  • VaR(95%) (moments method)
    0.01427
  • Expected Shortfall (moments method)
    0.02569
  • Extreme Value Index (regression method)
    0.22311
  • VaR(95%) (regression method)
    0.01443
  • Expected Shortfall (regression method)
    0.02368
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00088
  • Quartile 1
    0.01876
  • Median
    0.03136
  • Quartile 3
    0.04322
  • Maximum
    0.14625
  • Mean of quarter 1
    0.00308
  • Mean of quarter 2
    0.02665
  • Mean of quarter 3
    0.03472
  • Mean of quarter 4
    0.10439
  • Inter Quartile Range
    0.02446
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.14625
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -312642000
  • Max Equity Drawdown (num days)
    195
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29959
  • Compounded annual return (geometric extrapolation)
    0.32203
  • Calmar ratio (compounded annual return / max draw down)
    2.20193
  • Compounded annual return / average of 25% largest draw downs
    3.08489
  • Compounded annual return / Expected Shortfall lognormal
    12.17020

Strategy Description

Combines the art of trading the most explosive breakouts the market has to offer with the science of turtle trader position sizing and risk management.


What to expect:

Every day, I run stock scans that comb through 10,000 stocks to find just one or two that are ready to move right now.

I also use a sophisticated risk management strategy that was developed by William Eckhardt, who taught a group of traders now known as The Turtles.

The system buys strong, liquid US stocks and ETFs, and short sells the weakest. Losses are cut very short, which contributes to a lower win rate.

For more information on my trading style, please visit Twitter.com/ChartingTrends


Frequently asked questions:

Does this system need to be auto-traded?

No. All signals will be sent out after the market has closed, mostly on the weekends, so you should have time to enter the trades manually in the evening or in the morning before the market opens.


Do you short stocks?

Yes.


Do you use leverage?

Rarely, but yes during strongly trending markets.


Do you use stops?

Yes. All signals come with a stop loss order attached.


How has the system performed during backtesting?

My system is not an algorithm or black box. It is a rules based, discretionary strategy that I have developed through 10 years of intensive study.


What will happen during bear markets?

I can short stocks and ETFs, so the system is not dependant on a rising stock market. The system is more likely to struggle during a choppy, range bound market.

Summary Statistics

Strategy began
2012-08-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.9%
Rank # 
#65
# Trades
2066
# Profitable
732
% Profitable
35.4%
Net Dividends
Correlation S&P500
0.132
Sharpe Ratio
0.96
Sortino Ratio
1.38
Beta
0.14
Alpha
0.05
Leverage
1.63 Average
3.69 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.